The high incidence of melanoma leading to a poor prognosis rate endorses the development of alternative and innovative approaches in the treatment of melanoma. Therefore, the present study aims to develop and characterize, in terms of physicochemical features and biological impact, an aqueous suspension of magnetite (FeO) coated with β-cyclodextrin (FeO@β-CD) as a potential innovative alternative nanosystem for melanoma therapy. The nanosystem exhibited physicochemical characteristics suitable for biological applications, revealing a successful complexation of FeO NPs with β-CD and an average size of 18.1 ± 2.1 nm. In addition, the in vitro evaluations revealed that the newly developed nanosystem presented high biocompatibility on a human keratinocyte (HaCaT) monolayer and selective antiproliferative activity on amelanotic human melanoma (A375) cells, inducing early apoptosis features when concentrations of 10, 15, and 20 μg/mL were employed for 48 h and 72 h. Collectively, the FeO@β-CD nanosystem reveals promising features for an adjuvant approach in melanoma treatment, mainly due to its β-cyclodextrin coating, thus endorsing a potential co-loading of therapeutic drugs. Furthermore, the intrinsic magnetic core of FeO NPs supports the magnetically based cancer treatment strategies.